Study notes for Sampling

Preliminary

• Unbiased Estimator. Remember that estimators are random variables; an estimator is unbiased if its expected value is equal to the true value of the parameter being estimated. To use regression as an example. Suppose you measured two variables x and y where the true (linear) relationship is given by: y=5*x+2. Of course, any sample that you draw will have noise in it, so you have to estimate the true values of the slope and intercept. Suppose that you draw a thousand samples of x, y and calculate the least squares estimators for each sample (assuming that the noise is normally distributed). As you do that, you'll notice two things:
  1. All of your estimates are different (because the data is noisy)
  2. The mean of all of those estimates starts to converge on the true values (5 and 2)
  The second occurs because the estimator is unbiased.
  
  
• Markov Chain. A markov chain is a mathematical system that undergoes transitions from one state to another, between a finite or countable number of possible states. It is a random process usually characterized as memoryless: the next state depends only on the current state and not on the sequence of events that preceded it. This specific kind of memoryless is called Markov property.
  1. Mixing: no matter which state (node) the random process starts, the process eventually stabilizes to a stationary state, known as mixing. A good example can be seen here.
  2. Mixing time of a Markov chain is the time until the Markov chain is "close" to its steady state distribution, i.e. stationary distribution Pi.
  3. Rapid/fast mixing refers to the mixing time grows at most polynomially fast in log(n), where n is the number of states of the chain. Tools for providing rapid mixing include arguments based on conductance and the method of coupling.

Monte Carlo Methods

• Monte Carlo is the art of approximating an expectation by the sample mean of a function of simulated random variables. (Eric C. Anderson, 1999).
• Monte Carlo is about invoking laws of large numbers to approximate expectations. 
• Monte Carlo methods (or Monte Carlo experiments are a broad class of computational algorithms that rely on repeated random sampling (i.e., simulations) to obtain numerical results (in order to determine the properties of some phenomenon or behaviors). 
• Monte Carlo methods are mainly used in three distinct problems: optimization, numerical integration and generation of samples from a probability distribution. 

Importance Sampling

• Importance sampling is a Monte-Carlo scheme which does not involve a Markov Chain, every sample is an unbiased estimator. 
• It is used when one cannot sample from P but has a proposal distribution Q.
• Importance sampling is used for the purpose of numerical integration. 

References

• Eric C. Anderson, Monte Carlo Methods and Importance Sampling, Statistical Genetics, 1999. 
• Bengio and Senecal, Quick training of probabilistic neural nets by importance sampling, 2003. 
• Sampling: http://en.wikipedia.org/wiki/Sampling_(statistics)
• Monte Carlo method: http://en.wikipedia.org/wiki/Monte_Carlo_method